How can I make a twisted cone?
As has been mentioned, there are multiple ways to achieve what you want, but I just thought I'd elaborate on the technique I used when I did this very thing not long ago...

First, Add 2 circles and move them so they're just touching. Then select both and Join (Ctrl+J) them into a single mesh, and set their Origin to Geometry (Shift+Ctrl+Alt+C) so that the pivot point is centered.



Next, add a Screw Modifier and change the Axis, Screw, and Iterations values until it looks right (for circles of size 1, a Screw value of 4 seems right), and then Apply the modifier.



Next, go into Edit Mode (Tab) and Deselect All (A). Then change to Wireframe Mode (Z) and select just the top few vertices.



After that, turn on Proportional Editing (O) and Scale the vertices to 0 (S>0). You can then scroll your mouse wheel until the Proportional Editing circle covers as much of the screw as you desire.



And one last thing, for whatever reason, the normals on one of the circles is always inverted, so just select Make Normals Consistent (Ctrl+N) to get them all facing out. You should then have a nice-looking twisted cone.